Using a hint/information-bar like the trasformations are using
You do this by using Area.header_text_set()

Here is an example using the Modal Operator template:

import bpy
from bpy.props import IntProperty, FloatProperty

class ModalOperator(bpy.types.Operator):
    """Move an object with the mouse, example"""
    bl_idname = "object.modal_operator"
    bl_label = "Simple Modal Operator"

    first_mouse_x = IntProperty()
    first_value = FloatProperty()

    def modal(self, context, event):
        context.area.header_text_set("Well see? Its working...") #add text to header
        if event.type == 'MOUSEMOVE':
            delta = self.first_mouse_x - event.mouse_x
            context.object.location.x = self.first_value + delta * 0.01

        elif event.type == 'LEFTMOUSE':            
            context.area.header_text_set() #on confirm restore header to default
            return {'FINISHED'}

        elif event.type in {'RIGHTMOUSE', 'ESC'}:
            context.object.location.x = self.first_value
            context.area.header_text_set() #on exit restore header to default
            return {'CANCELLED'}

        return {'RUNNING_MODAL'}

    def invoke(self, context, event):
        if context.object:
            self.first_mouse_x = event.mouse_x
            self.first_value = context.object.location.x

            context.window_manager.modal_handler_add(self)
            return {'RUNNING_MODAL'}
        else:
            self.report({'WARNING'}, "No active object, could not finish")
            return {'CANCELLED'}    

def register():
    bpy.utils.register_class(ModalOperator)

def unregister():
    bpy.utils.unregister_class(ModalOperator)

if __name__ == "__main__":
    register()


Note that using header_text_set without an argument restores the header to default.